By Toni Weeks
San Luis Obispo, Calif., Nov. 4 – Credit Suisse AG, London Branch priced $33.97 million of 0% autocallable market-linked step-up notes due Oct. 27, 2017 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par of $10 plus an annualized call premium of 8% if the index closes at or above the initial level on either of two annual observation dates.
If the notes are not called and the index finishes above the step-up value – 151% of the initial level – the payout at maturity will be par plus the index gain.
If the index finishes at or below the step-up level but at or above the initial level, the payout will be par plus the step-up payment of 51%.
Investors will receive par if the index falls by up to 5% and will be exposed to any losses beyond the 95% threshold level.
BofA Merrill Lynch is the agent.
Issuer: | Credit Suisse AG, London Branch
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Issue: | Autocallable market-linked step-up notes
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Underlying index: | Russell 2000 index
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Amount: | $33,967,250
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Maturity: | Oct. 27, 2017
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If index finishes above step-up value, par plus index return; if index finishes at or below step-up value but at or above initial level, par plus 51%; par if index falls by up to 5%; exposure to any index decline beyond 95% threshold value
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Call: | At par plus 8% per year if index closes at or above initial level on two annual observation dates
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Initial level: | 1,155.77
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Step-up value: | 1,745.21, 151% of initial level
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Threshold value: | 1,097.98, 95% of initial value
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Pricing date: | Oct. 30
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Settlement date: | Nov. 6
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Underwriter: | BofA Merrill Lynch
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Fees: | 2%
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Cusip: | 22539W509
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